对我国基金业绩评价误差的实证研究

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2 ,,,,,?, , , ,, ,, , TM HM, 2

3 () CAPM APT

4 1,, (2002) :,,, (2002) :,,,, (2002)2001, 2002,, 2002,,,, (1) (2) Geotzmann, Ingersoll and Ivkovc(2000) (3) Roll(1978), A α ( α >0), B, -α Lehnmann and Modest (1987) CAPM APT Grnblatt and Ttmann(1994), Roll(1980,1981), 1

5 : π p,, π p π m p M, M, M M, β M M, : π p = π p - m M π / β M,Danel(2002) (Monte Carlo Smulatons), : (4) Admat and Ross(1985), Grnblatt and Ttman(1989),, 20 60,,, " " 2003 ( 12/24/2002), (2002), : 30, ( Ferson and Schadt 1996),? 2 2

6 2.1 : (1) portfolo benchmark, 1, Excess Return ALPHA Sharpe RatoTreynor Rato (2) 2 Jensen Index α β TM γ HM δ Equally Weghtng Index Value Weghtng Index 3

7 (1) (2) % 7.5% 103.7% 80.49% 85.09% 95% [76.6% %] 3 ( ) 4

8 5%,, 60% 4 (,) , ,,; , 12, 21, % 2.15% 95% [-3.51% 3.54%] % 1.77% 95% [-2.98% 2.83%] 82.41% = C+β + 5% C=0 β= % 60% 5

9 82.41% ALPHA Excess Return ALPHA ALPHA, ;, ALPHA= ER ER = ER R ) ( ER R ), m ( f m f ; Treynor raton Jack L.Treynor (1965) r f r β r rf Treynorrato( TR ) = (1) β TR TR j j sharpe rato SR Wllam F.Sharpe(1966) Sharpe rato: SR r rf =, (2) σ SR SR j j Jensen Index JI Mchael C.Jensen(1968) α r f r M r β 6

10 α = r r + β ( r r )], (3) [ f M f α α 0 Danel(2001) α TM Treynor and Mazuy(1966) CAMP γ : r r f = 2 α + β ( rm rf ) + γ ( rm rf ), (4) γ 0 And and Ross(1986) TM Ferson and schadt(1996) TM Comer(2001) TM HM Henrksson and Merton (1981) CAPM HM r = α + β r r ) + δmax(( r r ),0), (5) ( m f m f δ > 0 Ferson and schactt 1996 HM Comer(2001) HM 2.4 (1) (2) EW : 7

11 ;(3) R f % % (4) VW EW 2.5 (1) (2), VW (3) EW (4) (5) (6) (7) (8) R 80 % R + 20% R p = ;(9) m ;(10) : R R = % R + 20% R R = 80%( R R ) p f 80 m f f m f f R m (1) 22 (2) 22 ALPHA, SR, TR (3) 22 ALPHA, SR, TR (4) 22 ALPHA, SR, TR ALPHA, SR, TR ;(5) 22 ALPHA, 8

12 SR, TR ALPHA, SR, TR ;(6),,, (2004) 3.2 (1) α, γ δ t (2) t (3) α, γ δ (5% t ) (4) (2004) 3.3 (1) (2), APT,TM HM (comer(2001)) (3) (4) (5) :,,, (2004) 4 1 = 9

13 (1),(2),(3) (1) (2),(4),, (5) 4.1 (1), ( 3) 3 α SR TR (%) (%) (%) (2), ALPHA ALPHA, ( ) = =1.37 ; : 1.37% %=0.28, 1.37% 6.24%=

14 4 ALPHA ALPHA (3) (1) (2) ALPHA SR TR 1.37 ( ), : (1) ( 5),, 5 α γ δ (2) α α = =1.44, 1.44 : 1.44% %=1.35, 11

15 1.44% %= α α α ,, 1.37 ; 1.44,, , : % %=4.84, % 6.24%= () (1),, 7 α γ δ

16 (2) α α : 9.09%-2.04%=7.05% 7.05 : 7.05% 2.04%=3.46, 7.05% 9.09%= α α α ,, 7.05, ; ,, Danel(2002) α, , % %=7.51, % 9.09%=0.05 ; ,,, ;,, ,,, ;,, 13

17 :, :(1),, (2),, (3) (1) (2) 5.1 (1),, 9 α SR TR (%) (%) (%) (2), : 4.96% 14

18 5.25% 5.62%; : ; : (3) (1) (2),,, ; ; 0.66% 4.96%=0.133, 0.29% 5.62%=0.052 ; ALPHA SR TR ALPHA SR TR ALPHA SR TR (1) 6,, ; 15

19 11 α γ δ % % % (2) 6, 1.65% 1.70% 1.72% 12 α Danel(2002) α,, 1.65% 1.70% 16

20 1.72%; ; 0.07% 1.65%=0.042, 0.2% 1.72%=0.012 ; α α (3), 1.65% 1.70% 1.72%;,,,, ; 3.97% 1.65%=2.41, 0.02% 5.62%=0.12 ; ,,, (4) : 14 α γ δ (%) (%) (%) (5) 17

21 0.5537% % 15 ALPHA (6) (3), (4) (5), 1.65% 1.70% 1.72% 6.64%;,,,,, ; 4.99% 1.65%=3.02, 0.02% 6.64%=0.003 ; ,,,,, :(a) , (b) ; , 18

22 :(1) CAPM,(2) APT, (3) (1) (2) 6.1 CAPM (1) : 16 TM HM % % % (2) TM HM (3) : 18 TM HM % % % (4) : 19

23 19 α TM HM (5) (1),(2),(3) (4): 1.69% TM 2.84% HM 4.64% :1.71%,2.86%,4.73%,, HM, TM,, ; 2.95% 1.69%=1.75, 1.15% 4.64%=0.25 ; APT 1 APT : 20 APT TM HM % % % APT % TM 6.786% HM % 20

24 21 APT TM HM (1) (2): HM, TM,, ; % %=2.26, % %=0.30 ; Comer(2001), ; :, =2.2, = TM HM CAPM APT, HM, TM,, ; % 1.69%=5.64, % %=0.05 ; ,, TM 21

25 HM ;,,, , ,, (1),, ;,, ,,, ;,, (2) :(a) , (b) ; (3), TM HM ;,,, ,

26 (1) Admat, Anat R., and Stephen A. Ross, 1985 Measurng nvestment performance n a ratonal expectatons equlbrum model. Journal of Busness 58(11), (2) Comer,George,2001 The Performance of Maket Tmng Mutual Funds.UMI Mcroform (3) Danel, N. D., 2002, Do specfcaton errors affect nferences on portfolo performance? evdence from Monte Carlo smulatons, Workng Paper (4) Ferson, Wayne E. and Rud W. Schadt, 1996 Measurng Fund Strategy And Performance In Changng Economc Condtons. Journal of Fnance 51(2,Jun), (5) Geotzman,Wllam,Jonatthan Ingersoll,and Zuran Ivkovc,2000 Monthly Measurement of Daly Tjournal of Fnancal and Quanttatve Analyss 35, (6) Grnblatt, Mark and Sherdan Ttman, 1989 Portfolo performance evaluaton: Old ssues and new nsghts. Revew of Fnancal Studes 2(), (7) Grnblatt, Mark and Sherdan Ttman, 1994 A Study Of Monthly Mutual Fund Returns And Performance Evaluaton Technques. Journal of Fnancal and Quanttatve Analyss 29(3), (8) Henrksson, R. D., and R. C. Merton, 1981 On market tmng and nvestment performance. II. Statstcal procedures for evaluatong forecastng sklls. Journal of Busness 54(4), (9) Jensen, Mchael, 1968 : The performance of mutual funds n the perod Journal of Fnance 23(2), (10) Lehmann, B., and D. Modest, 1987 : Mutual fund performance evaluaton: A comparson of benchmarks and benchmark comparsons. Journal of Fnance 42(2), 23

27 (11) Roll, R, 1978 : Ambguty when performance s measured by the securtes market lne. Journal of Fnance 33(4), (12) Roll, R, 1980 Performance evaluaton and benchmark errors(i). Journal of Portfolo Management 6(4), 5-12 (13) Roll, R, 1981 Performance evaluaton and benchmark errors (II). Journal of Portfolo Management 7(2), (14) Sharpe, Wllam F, 1966 Mutual fund performance. Journal of Busness 39(1), (15) Treynor, Jack, 1965 How to rate management of nvestment funds. Harvard Busness Revew 43(), (16) Treynor, Jack and K. Mazuy, 1966 Can mutual funds outguess the market. Harvard Busness Revew 44(), (17) ; (18) (19) ; (20) (21) (22) ; (23) 2001 ; (24),2004:,, (25),2005:, ; (26),2005:, ; (27),,2003:, (28),, 2003:,

28 (29) 2003, ; (30),, ; (31) ; (32),

上证联合研究计划第二期课题

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